[R-SIG-Finance] statistical remedy needed

[tonyp]

Hi, 

I am trying to test for differences in means between two return (time)
series. However, the Ljung-Box test is significant due to the long-memory
structure of the series ie. autocorrelation is present. I tried to
difference twice which is standard (didn't want to overdifference) and still
I have, as expected, series correlation. 

Is there any function in R or a technique some of you guys can suggest me to
filter the autocorrelation in order to apply my test?

t.test(ts1, ts2 ,alternative='greater',
paired=TRUE,var.equal=FALSE, conf.level=0.95)

I would totally appreciate if any of you quant minds outthere has done work
on that. Thank you in advance.

Best,
TP

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